Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0439
Annualized Std Dev 0.1989
Annualized Sharpe (Rf=0%) -0.2209

Row

Daily Return Statistics

Close
Observations 3435.0000
NAs 1.0000
Minimum -0.1481
Quartile 1 -0.0045
Median 0.0000
Arithmetic Mean -0.0001
Geometric Mean -0.0002
Quartile 3 0.0050
Maximum 0.1897
SE Mean 0.0002
LCL Mean (0.95) -0.0005
UCL Mean (0.95) 0.0003
Variance 0.0002
Stdev 0.0125
Skewness 0.3592
Kurtosis 35.4123

Downside Risk

Close
Semi Deviation 0.0090
Gain Deviation 0.0098
Loss Deviation 0.0106
Downside Deviation (MAR=210%) 0.0137
Downside Deviation (Rf=0%) 0.0091
Downside Deviation (0%) 0.0091
Maximum Drawdown 0.6720
Historical VaR (95%) -0.0170
Historical ES (95%) -0.0302
Modified VaR (95%) -0.0104
Modified ES (95%) -0.0104
From Trough To Depth Length To Trough Recovery
2007-08-16 2020-03-18 NA -0.672 3423 3169 NA

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA NA NA 0 0 -0.4 0.6 2.1 3.6 6.1
2008 2 -2.8 1.3 1 1.7 0.6 -1.3 1 3 0.9 -5.6 2.2 3.6
2009 0.1 0.6 1.3 0.1 1.3 -1.1 -1.5 -0.4 -0.8 -3.6 0.3 0.3 -3.4
2010 0.4 -0.1 0.2 -1.3 -2.4 -1 0.1 -1.4 1.2 -0.2 0.5 0.6 -3.2
2011 0.8 -1.1 0.2 0.3 -0.6 0.2 0.3 -0.3 -1.7 -2.1 -0.3 0.7 -3.5
2012 0.9 0.8 0.1 0.5 -1.1 1.4 0.6 0.5 1.1 1 -0.2 1.5 7.2
2013 0.2 -0.1 0.5 -1 -0.6 0.5 0.5 -0.2 1.4 -0.4 0.2 -0.4 0.5
2014 -0.6 0.3 -0.2 0.1 -0.2 0.6 -1.2 0.6 -0.3 0.3 -0.9 -2.3 -3.8
2015 -1.5 0 -0.3 0.5 0.1 -0.3 0.3 -2.1 2.4 -0.6 1.5 1.5 1.4
2016 -0.4 1.5 0.2 1 0.7 0.4 -0.1 -0.2 0.9 -1.3 -0.7 -0.6 1.3
2017 -0.3 0.6 0 -0.2 0.4 0.1 0.2 0.5 0.5 0.1 0.3 0.2 2.6
2018 0.6 -0.3 0.7 0.1 0.5 0.1 0.1 0 0.6 0.9 0.9 0.5 4.8
2019 -0.5 0.2 -0.2 0.4 -0.1 0.3 -0.7 -0.1 -0.2 0.4 0 0.2 -0.2
2020 -1.4 -2.2 -4.1 -1.8 0.4 0.7 0.7 0.7 1.5 -1.2 1.1 0.8 -4.7
2021 1.2 1.5 0.7 NA NA NA NA NA NA NA NA NA 3.5

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Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart